Towards an Agent-Based Foundation of Financial Econometrics: An Approach Based on Genetic-Programming Artificial Markets
نویسندگان
چکیده
Using a few nonlinear econometric tools, this paper examines some time-series properties of GP-based arti cial markets. We nd that GP-based arti cial markets are able to replicate several stylized features well documented in nancial econometrics. In particular, the time series generated by the GPbased arti cial markets are consistent with the e cient market hypothesis in the linear sense. Furthermore, the emergence of these stylized features may be caused by some institutional factors, such as position limits and transaction factors. By introducing the complexity of evolved GP-trees, a bottom-up analysis of the impact of transaction taxes on GP-based arti cial markets is also provided.
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